
	December 30 , 2005 Welcome to The Pipeline, Andrew Davidson & Co., Inc.'s monthly newsletter. Created as a "pipeline" of relevant and useful information for participants in the fixed income industry, we address recent trends, changes and advances that our consultants, developers and sales force have extensively studied. We value your input and urge you to contact us with questions, comments or article suggestions. Enjoy!



	AD&Co. Update Model Performance Review Valuation Commentary

AD&Co. Update

2005 Flyby

By Ilda Jacobsen

My my, did 2005 fly; and it’s been quite a view from the top. Readers of the AD&Co. Update would attest, since that’s exactly where we like to keep them—on top of things. And while we will continue in 2006 to make the AD&Co. Update the hub of all things new and great at AD&Co., a flyby of 2005 updates past seems an appropriate send off to a prosperous year.

Thank you all for your dedicated readership and valued business. Read more...

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Model Performance Review

Model Performance
By Dan Szakallas

Prepayments decreased from October to November as we expected, but the drop was a bit greater than we forecast. FNMA 30-year discounts fell about 12-18%; more than the 10% drop we anticipated. The largest drop was seen in the 6.0’s, which declined 20% from the previous month. GNMA collateral also showed an overall decrease, although the 30-year 4.5’s actually showed a 1.4% gain from October. GNMA 15-year discounts fell about 6-10%. We show actual pool CPR speeds of selected coupon buckets and corresponding model forecasts Read more...

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Valuation Commentary

2005 Valuation Roundup: the Market and the Models

By Alex Levin

It has become a tradition to dedicate the December Valuation Commentary to a market round-up. After the eventful and volatile year of 2003, the MBS market has clearly stabilized. Stabilization has left fewer investment options to new buyers and has changed the flavor of the market. Our market analysis [based on the results of the AD&Co. OAS model version 6.0 and the Prepayment Model version 5.1 (“new model”)] offers a drastically expanded view Read more...

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